ResearchTrend.AI
  • Papers
  • Communities
  • Events
  • Blog
  • Pricing
Papers
Communities
Social Events
Terms and Conditions
Pricing
Parameter LabParameter LabTwitterGitHubLinkedInBlueskyYoutube

© 2025 ResearchTrend.AI, All rights reserved.

  1. Home
  2. Papers
  3. 1812.07700
22
7

A Bayesian semiparametric Archimedean copula

18 December 2018
Ricardo Hoyos
L. Nieto-Barajas
ArXivPDFHTML
Abstract

An Archimedean copula is characterised by its generator. This is a real function whose inverse behaves as a survival function. We propose a semiparametric generator based on a quadratic spline. This is achieved by modelling the first derivative of a hazard rate function, in a survival analysis context, as a piecewise constant function. Convexity of our semiparametric generator is obtained by imposing some simple constraints. The induced semiparametric Archimedean copula produces Kendall's tau association measure that covers the whole range (−1,1)(-1,1)(−1,1). Inference on the model is done under a Bayesian approach and for some prior specifications we are able to perform an independence test. Properties of the model are illustrated with a simulation study as well as with a real dataset.

View on arXiv
Comments on this paper